Generated on : Sun Jan 4 16:08:40 2015


EW.V0R1F2

Table of Contents

  1. Overview
    1. Holding Period Return
    2. Statistics
  2. Risk
    1. Periodict Return
    2. Volatility Evolution
    3. Drawdown
    4. Density
    5. Loss Distribution
    6. Gain Distribution
  3. Performance
    1. Stochastic Dominance
  4. Transactions
  5. Assets
  6. Strategies
  7. Data
    1. Portfolio Values
    2. Holdings
    3. Transaction Order
    4. Target Weight
  8. Definitions
  9. Disclaimer

Overview

Holding Period Return


Statistics

n = 3303EquityEWDebtVarianceMinMaxDiv
Mean*4.325254.753134.02523.984574.05948
Standard Deviation**20.549210.46845.305865.042865.55511
Sharp0.2104830.4540470.7586330.7901420.730765
Skew NANANANANA
Kurtosis NANANANANA
Positive 18121794189717571763
Negative 14911509140615461540
* p * 100.0 * 250.0
** p * 100.0 * sqrt(250.0)

Risk

Periodic Return


Volatility


MeanSt Dev.Count
Equity16.874811.01323304
EW8.705415.454883304
Debt4.839361.899773304
VarianceMin4.603571.803653304
MaxDiv5.058262.025883304

Drawdown


Density



MeanSt Dev.Count (%)
Equity-234.01216.305945.1408
EW-116.7578.0195345.6857
Debt-67.56793.9572842.5674
VarianceMin-58.4673.7181646.8059
MaxDiv-65.22283.9537646.6243

MeanSt Dev.Count (%)
Equity200.44114.496254.8592
EW106.967.4971254.3143
Debt57.08783.3094857.4326
VarianceMin58.93623.136353.1941
MaxDiv64.57833.5691253.3757

* 0 excluded

Performance

Stochastic Dominance

Transactions

Section Skipped

No Market Engine was specified.

Assets

Section Skipped

No Asset descriptions provided.

Strategies

EquityEWDebtVarianceMinMaxDiv
DescriptionEquity PortfolioEqual Weighted PortfolioDebt PortfolioMinimal Variance Portfolio Compute the weights x which minimize the expected variance of the portfolioMaximum Diversification Portfolio Compute the weights x which maximize the Diversification Ratio
frequency1p1p1p1p1p
Version1v1v1v1v1v
Rebalancedtruetruetruetruetrue

Data

Portfolio Values

Equity

EW

Debt

VarianceMin

MaxDiv

Holdings

Holdings Evolution

Holdings percentage change

Equity

EW

Debt

VarianceMin

MaxDiv

Transaction Order

Units of assets bought/sold

Equity

Sec0Sec1
Mean1.5966e-180
St. Dev.9.17246e-170

EW

Sec0Sec1
Mean0.0008434560.00852771
St. Dev.0.4068471.67071

Debt

Sec0Sec1
Mean03.61335e-18
St. Dev.02.06715e-16

VarianceMin

Sec0Sec1
Mean-0.0003936160.00100096
St. Dev.3.1155815.1453

MaxDiv

Sec0Sec1
Mean-0.0002951140.0015662
St. Dev.1.939589.28533

Target Weights

Equity

EW

Debt

VarianceMin

MaxDiv

Definitions

NameFormulaDescription
Meanx¯=1n∑ni=0xiAverage
Standard Deviationσ=1n∑ni=0(xi−x¯)2‾‾‾‾‾‾‾‾‾‾‾‾‾‾√Average deviation from the mean (Volatility).
SkewS=1nσ3∑ni=0(xi−x¯)3Symmetry
S < 0: Average < Median < Mode
S = 0: Average = Median = Mode
S > 0: Average > Median > Mode
KurtosisK=1nσ4∑ni=0(xi−x¯)4Fat tail. The normal distribution has a Kurtosis of 3
DrawdownMax(ln(V0V0),...,ln(Vt−1V0))−ln(VtV0)Show something interesting I am sure

Disclaimer

THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.